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Q116Section C (Part C)116 of 120

Linear models — distributions of the regression sums of squares

Let Y=Xβ+ϵY=X\beta+\epsilon be a multiple linear regression model with pp regressors and an intercept, where β=(β0,β1,…,βp)T\beta=(\beta_0,\beta_1,…,\beta_p)^{T} and the random error ϵ∼Nn(0,σ2I)\epsilon\sim N_n(0,\sigma^2I), σ>0\sigma>0 and n>p+1n>p+1. Here, the least squares estimation method provides unique estimator of β\beta, say β^\hat\beta. Let the total sum of squares (corrected), sum of squares due to regression/model and sum of squares due to error/residual, based on β^\hat\beta, be denoted by YTAYY^{T}AY, YTBYY^{T}BY and YTCYY^{T}CY, respectively, so that YTAY=YTBY+YTCYY^{T}AY=Y^{T}BY+Y^{T}CY. Which of the following statements are always true?

Multiple select: one or more options are correct. Select all of them, then submit — marks need the exact set.

Options

Select every correct option, then submit.